It's very important in genealogy research to not make assumptions. Speculations and hunches can lead you in the right direction but assumptions can lead to tunnel vision.
A great example of this is my paternal grandfather's parents. My great grandmother was born and raised in Lisbon, Ohio. My great grandfather was born and raised in Pittsburgh. Meanwhile, they were married in Hancock County, West Virginia. Neither of them ever lived in or had family ties to Hancock County but it is almost exactly a midway point between Lisbon and Pittsburgh so it makes some sense that they were married here. But had I not already known that this is where they were married, I probably would have gotten tunnel vision in restricting my searches of their marriage record to Ohio or Pennsylvania.
So keep an open mind - if you can't find what you're looking for in the places you expected it to be, open your search to other possibilities, even if it seems unlikely!
There are plenty of other examples of how my assumptions did in fact lead me to some brick walls. There was the incorrect assumption that my great grandfather had no sibling which caused me to dismiss several census records. There was the assumption that a census record who reported an individual as male was correct, leading me to fruitless searches of this male in other census records until I finally discovered the individual was actually female. There were endless empty searches of Ellis Island's records for my great grandfather's arrival when it turns out that his port of entry was actually Philadelphia, not New York (or New Jersey, if you're one of those). This is an important note since it seems to be a common assumption among newcomers to genealogy that Ellis Island was the only port of entry into the US which was not true.
Another thing to consider is address changes. Just because your ancestors had a change in address doesn't necessarily mean they moved house. I got very confused when some of my ancestors were reported alternatively as living at four different addresses on two streets which were next to each other. While it's not unlikely for people to move about within the same township, to move only down the road a little ways or just one street away seemed silly to me. But it must be true because there are the addresses listed, right? Wrong! As it turns out, my ancestor owned property that bordered each of the two streets and therefore his name is attributed to both addresses. On top of this, both streets were at some point renumbered, making it look like they had moved to a new address just down the road when they hadn't.
What assumptions have you made that led you in the wrong directions?